Publications related to Monotone and Cash-Invariant Convex Functions and Hulls

Uncertainty-aware Flexibility Envelope Prediction in Buildings with Controller-agnostic Battery Models

Colin Neil Jones, Paul Scharnhorst, Rafael Eduardo Carrillo Rangel, Pierre-Jean Alet, Baptiste Schubnel

Buildings are a promising source of flexibility for the application of demand response. In this work, we introduce a novel battery model formulation to capture the state evolution of a single building. Being fully data-driven, the battery model identificat ...

IEEE2023

Uncertainty-aware Flexibility Envelope Prediction in Buildings with Controller-agnostic Battery Models

Colin Neil Jones, Paul Scharnhorst, Rafael Eduardo Carrillo Rangel, Pierre-Jean Alet, Baptiste Schubnel

Buildings are a promising source of flexibility for the application of demand response. In this work, we introduce a novel battery model formulation to capture the state evolution of a single building. Being fully data-driven, the battery model identificat ...

2022

Multi-Level Monte Carlo Methods for Uncertainty Quantification and Risk-Averse Optimisation

Sundar Subramaniam Ganesh

This work aims to study the effects of wind uncertainties in civil engineering structural design. Optimising the design of a structure for safety or operability without factoring in these uncertainties can result in a design that is not robust to these per ...

EPFL2022

Chance-Constrained Trajectory Planning With Multimodal Environmental Uncertainty

Maryam Kamgarpour, Kai Ren

We tackle safe trajectory planning under Gaussian mixture model (GMM) uncertainty. Specifically, we use a GMM to model the multimodal behaviors of obstacles' uncertain states. Then, we develop a mixed-integer conic approximation to the chance-constrained t ...

IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC2022

Invariant Integrals on Topological Groups and Applications

Vasco Schiavo

We study a fixed point property for linear actions of discrete groups on weakly complete convex proper cones in locally convex topological vector spaces. We search to understand the class of discrete groups which enjoys this property and we try to generali ...

EPFL2021

Mean-Covariance Robust Risk Measurement

Daniel Kuhn, Damir Filipovic, Viet Anh Nguyen, Soroosh Shafieezadeh Abadeh

We introduce a universal framework for mean-covariance robust risk measurement and portfolio optimization. We model uncertainty in terms of the Gelbrich distance on the mean-covariance space, along with prior structural information about the population dis ...

2021

A first-order primal-dual method with adaptivity to local smoothness

Volkan Cevher, Maria-Luiza Vladarean

We consider the problem of finding a saddle point for the convex-concave objective

\min_x \max_y f(x) + \langle Ax, y\rangle - g^*(y)

, where

f

is a convex function with locally Lipschitz gradient and

g

is convex and possibly non-smooth. We propose an ...

2021

Adaptive Gradient Descent without Descent

Konstantin Mishchenko

We present a strikingly simple proof that two rules are sufficient to automate gradient descent: 1) don’t increase the stepsize too fast and 2) don’t overstep the local curvature. No need for functional values, no line search, no information about the func ...

2020

Stochastic approximation methods for PDE constrained optimal control problems with uncertain parameters

Matthieu Claude Martin

This thesis work focuses on optimal control of partial differential equations (PDEs) with uncertain parameters, treated as a random variables. In particular, we assume that the random parameters are not observable and look for a deterministic control which ...

EPFL2019

"Dice"-sion Making under Uncertainty: When Can a Random Decision Reduce Risk?

Daniel Kuhn, Wolfram Wiesemann

Stochastic programming and distributionally robust optimization seek deterministic decisions that optimize a risk measure, possibly in view of the most adverse distribution in an ambiguity set. We investigate under which circumstances such deterministic de ...

2019

Monotone and Cash-Invariant Convex Functions and Hulls

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Uncertainty-aware Flexibility Envelope Prediction in Buildings with Controller-agnostic Battery Models

Uncertainty-aware Flexibility Envelope Prediction in Buildings with Controller-agnostic Battery Models

Multi-Level Monte Carlo Methods for Uncertainty Quantification and Risk-Averse Optimisation

Chance-Constrained Trajectory Planning With Multimodal Environmental Uncertainty

Invariant Integrals on Topological Groups and Applications

Mean-Covariance Robust Risk Measurement

A first-order primal-dual method with adaptivity to local smoothness

Adaptive Gradient Descent without Descent

Stochastic approximation methods for PDE constrained optimal control problems with uncertain parameters

"Dice"-sion Making under Uncertainty: When Can a Random Decision Reduce Risk?

Multi-Level Monte Carlo Methods for Uncertainty Quantification and Risk-Averse Optimisation

A first-order primal-dual method with adaptivity to local smoothness

Uncertainty-aware Flexibility Envelope Prediction in Buildings with Controller-agnostic Battery Models

Invariant Integrals on Topological Groups and Applications

Uncertainty-aware Flexibility Envelope Prediction in Buildings with Controller-agnostic Battery Models

Chance-Constrained Trajectory Planning With Multimodal Environmental Uncertainty

Adaptive Gradient Descent without Descent

Stochastic approximation methods for PDE constrained optimal control problems with uncertain parameters

"Dice"-sion Making under Uncertainty: When Can a Random Decision Reduce Risk?

Mean-Covariance Robust Risk Measurement